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Mitigating Basel IV impact with new securitisation methodologies supported by a Blockchain environment

Takken, Maarten Roland (2019) Mitigating Basel IV impact with new securitisation methodologies supported by a Blockchain environment.

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Abstract:Upcoming revisions to Basel III are set to have a large impact on the amount of capital Dutch banks have to hold. This large impact is due to the relatively large mortgage portfolios of Dutch banks with atypically high Loan to Value ratios. Securitisation is a possible technique for the mitigation of these higher capital requirements. In light of the regulatory developments and the interest of Deloitte Netherlands in this topic we examined the possibilities of new securitisation methodologies made possible by a digital Blockchain environment. Those examined are the splitting of mortgages into multiple parts (as made interesting by Basel IV's Loan-Splitting Approach) as well as the active swapping of mortgages between a security and a bank. The possible impact of both are seen to be substantial, showing vast benefits over \traditional" securitisation. In terms of ROE, mortgage splitting was shown to increase the absolute ROE by 2,3% as compared to standard securitisation. Mortgage swapping was shown to increase the absolute ROE by 15,2%. However, certain factors were omitted in this thesis such as the possible risk premium required on these novel securities by investors as well as various other financial considerations such as mortgage refinancing..
Item Type:Essay (Bachelor)
Clients:
Deloitte, Amsterdam, Netherlands
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:Industrial Engineering and Management BSc (56994)
Link to this item:http://purl.utwente.nl/essays/78072
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